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Data Catalog

Browse our curated market data catalog across exchanges and asset types.

19 datasets

Trades

Derivatives

Market Data

L1 (Top of Book)

L2 (Order Book)

Preview Data

No subscription required

The following datasets are available to any authenticated user — even without a paid plan. Pass preview=True in the Python client, or call /api/v1/data/preview/:metric_id directly.

DatasetExchangeSymbolIntervalTimestampDate range
Candlesticksbinance-futuresperpetual-BTC-USDT:USDT5mexchange2025-05-01 — 2025-05-31
L2 Order Book Imbalancebinance-futuresperpetual-BTC-USDT:USDT5mexchange2025-05-01 — 2025-05-31
L2 Order Book Liquidity

L2 Order Book Liquidity

Total bid/ask depth aggregated over 5, 10, 20, 25 order book levels — instantaneous and interval-averaged.

CodeAPI DocsTry It

ask_agg_25_avg

Avg Ask Aggregate (25 levels)

Average Ask Aggregate across twenty-five levels smooths the deeper sell-side book over the interval.

That makes it a regime measure for how much overhead liquidity the market was consistently showing, not just flashing moment to moment.

bid_agg_25_avg

Avg Bid Aggregate (25 levels)

Average Bid Aggregate across twenty-five levels provides the broad matching view of displayed support.

Stronger readings indicate a deeper cushion of resting liquidity that can absorb pressure before the book thins out materially.

Endpoint

/api/v1/data/l2_liquidity

Category

L2 (Order Book)

Intervals
1m5m15m30m1h4h1d
Requires Prime
1s

Requires timestamp=true

Exchanges
binance-futuresokx-perps
Fields16
ask_agg_5Ask Aggregate (5 levels)Last total ask quantity across the top 5 levels
ask_agg_10Ask Aggregate (10 levels)Last total ask quantity across the top 10 levels
ask_agg_20Ask Aggregate (20 levels)Last total ask quantity across the top 20 levels
ask_agg_25Ask Aggregate (25 levels)Last total ask quantity across the top 25 levels
bid_agg_5Bid Aggregate (5 levels)Last total bid quantity across the top 5 levels
bid_agg_10Bid Aggregate (10 levels)Last total bid quantity across the top 10 levels
bid_agg_20Bid Aggregate (20 levels)Last total bid quantity across the top 20 levels
bid_agg_25Bid Aggregate (25 levels)Last total bid quantity across the top 25 levels
ask_agg_5_avgAvg Ask Aggregate (5 levels)Average total ask quantity across the top 5 levels in the interval
ask_agg_10_avgAvg Ask Aggregate (10 levels)Average total ask quantity across the top 10 levels in the interval
ask_agg_20_avgAvg Ask Aggregate (20 levels)Average total ask quantity across the top 20 levels in the interval
ask_agg_25_avgAvg Ask Aggregate (25 levels)Average total ask quantity across the top 25 levels in the interval
bid_agg_5_avgAvg Bid Aggregate (5 levels)Average total bid quantity across the top 5 levels in the interval
bid_agg_10_avgAvg Bid Aggregate (10 levels)Average total bid quantity across the top 10 levels in the interval
bid_agg_20_avgAvg Bid Aggregate (20 levels)Average total bid quantity across the top 20 levels in the interval
bid_agg_25_avgAvg Bid Aggregate (25 levels)Average total bid quantity across the top 25 levels in the interval
Example Request
from datetime import date
from aperiodic import get_metrics
df = get_metrics(
    api_key="YOUR_API_KEY",
    metric="l2_liquidity",
    exchange="binance-futures",
    symbol="perpetual-BTC-USDT:USDT",
    interval="1d",
    start_date=date(2024, 1, 1),
    end_date=date(2024, 3, 1),
)
print(df.head())

Query Parameters

timestampreqstring
string

Timestamp source. 'exchange' uses the exchange-reported timestamp, 'true' uses actual arrival time at our servers.

exchangetrue
intervalreqstring
string

Aggregation time interval for the data.

1m5m15m30m1h4h1d
exchangereqstring
string

Source exchange for L2 order book data.

binance-futuresokx-perps
symbolreqstring
string

Trading pair symbol in the format of Atlas' universal symbology: https://github.com/aperiodic-io/atlas

start_datereqstring<date>
string<date>

Start date for the data range (YYYY-MM-DD format). Data is partitioned by year and month.

end_datereqstring<date>
string<date>

End date for the data range (YYYY-MM-DD format). Must be greater than or equal to start_date.

Successful response with download URLs for each monthly file

Schema
filesobject[]required

Array of file information for each month in the requested date range

yearintegerrequired

Year of the data file

monthintegerrequired

Month of the data file (1-12)

urlstring<uri>required

Presigned URL for direct file download (valid for 5 minutes). URLs are served from dataset-specific subdomains, e.g. ohlcv.aperiodic.io, trade-metrics.aperiodic.io, l1-metrics.aperiodic.io, l2-metrics.aperiodic.io, derivative-metrics.aperiodic.io.

Example
{
  "files": [
    {
      "year": 2024,
      "month": 1,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2024-01.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2024,
      "month": 2,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2024-02.parquet?X-Amz-Expires=300&..."
    }
  ]
}
Try It
Suggestions shown — any valid value accepted
Suggestions shown — any valid value accepted
Suggestions shown — any valid value accepted
Authentication
An API key is required to send requests.Sign up
GET/api/v1/data/l2_liquidity?timestamp=exchange&interval=1m&exchange=binance-futures
Response will appear here
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